feat: reward scaling

CHANGELOG.md

@@ -65,6 +65,8 @@
 - [11533](https://github.com/vegaprotocol/vega/issues/11533) - Suppose per party fee discounts in fee estimation.
 - [11577](https://github.com/vegaprotocol/vega/issues/11577) - Add API for party discounts and rewards.
 - [10716](https://github.com/vegaprotocol/vega/issues/10716) - Set Tendermint defaults during init.
+- [11612](https://github.com/vegaprotocol/vega/issues/11612) - Reward scaling support.
+-[11624](https://github.com/vegaprotocol/vega/issues/11624) - prevent creation of rewards with no payout, but with high computational cost.
 - [11624](https://github.com/vegaprotocol/vega/issues/11624) - prevent creation of rewards with no payout, but with high computational cost.
 - [11512](https://github.com/vegaprotocol/vega/issues/11512) - Add loss socialisation amounts to funding payment API.
 
@@ -79,7 +81,6 @@
 - [11568](https://github.com/vegaprotocol/vega/issues/11568) - order book shape on closing `AMM` no longer panics.
 - [11540](https://github.com/vegaprotocol/vega/issues/11540) - Fix spam check for spots to use not double count quantum.
 - [11542](https://github.com/vegaprotocol/vega/issues/11542) - Fix non determinism in lottery ranking.
-- [11616](https://github.com/vegaprotocol/vega/issues/11616) - `AMM` tradable volume now calculated purely in positions to prevent loss of precision.
 - [11544](https://github.com/vegaprotocol/vega/issues/11544) - Fix empty candles stream.
 - [11583](https://github.com/vegaprotocol/vega/issues/11583) - Rough bound on price interval when matching with `AMMs` is now looser and calculated in the `AMM` engine.
 - [11633](https://github.com/vegaprotocol/vega/issues/11633) - Use bridge deployment heights from network parameter when starting network from genesis.
@@ -90,7 +91,6 @@
 - [11607](https://github.com/vegaprotocol/vega/issues/11607) - Wire rank lottery distribution to team reward payout.
 - [959](https://github.com/vegaprotocol/core-test-coverage/issues/959) - Include `ELS` for `AMM` sub keys to the parent key `ELS`.
 - [11592](https://github.com/vegaprotocol/vega/issues/11592) - Fix the order of calls at end of epoch between rebate engine and market tracker.
-- [10907](https://github.com/vegaprotocol/vega/issues/10907) - Fix position API distressed status not getting updated once the party has been closed out.
 
 
 ## 0.77.5

commands/transfer_funds.go

@@ -355,4 +355,19 @@ func validateDispatchStrategy(toAccountType vega.AccountType, dispatchStrategy *
 	if dispatchStrategy.TransferInterval != nil && (*dispatchStrategy.TransferInterval <= 0 || *dispatchStrategy.TransferInterval > 100) {
 		errs.AddForProperty(prefix+".transfer_interval", errors.New("must be between 1 and 100"))
 	}
+
+	if dispatchStrategy.TargetNotionalVolume != nil &&
+		((dispatchStrategy.Metric == vega.DispatchMetric_DISPATCH_METRIC_ELIGIBLE_ENTITIES && len(dispatchStrategy.AssetForMetric) == 0) ||
+			dispatchStrategy.Metric == vega.DispatchMetric_DISPATCH_METRIC_MARKET_VALUE ||
+			dispatchStrategy.Metric == vega.DispatchMetric_DISPATCH_METRIC_VALIDATOR_RANKING) {
+		errs.AddForProperty(prefix+".target_notional_volume", fmt.Errorf(fmt.Sprintf("not allowed for metric %s", dispatchStrategy.Metric)))
+	}
+	if dispatchStrategy.TargetNotionalVolume != nil && len(*dispatchStrategy.TargetNotionalVolume) > 0 {
+		n, overflow := num.UintFromString(*dispatchStrategy.TargetNotionalVolume, 10)
+		if overflow {
+			errs.AddForProperty(prefix+".target_notional_volume", ErrIsNotValidNumber)
+		} else if n.IsNegative() || n.IsZero() {
+			errs.AddForProperty(prefix+".target_notional_volume", ErrMustBePositive)
+		}
+	}
 }

commands/transfer_funds_test.go

@@ -47,6 +47,11 @@ func TestTransferFunds(t *testing.T) {
 	zeroTransferInterval := int32(0)
 	negativeTransferInterval := int32(-1)
 
+	notionalVolumeInvalidNumber := "banana"
+	notionalVolumeNegative := "-1"
+	notionalVolumeZero := "0"
+	notionalVolumeValid := "100"
+
 	cases := []struct {
 		transfer  commandspb.Transfer
 		errString string
@@ -1441,6 +1446,114 @@ func TestTransferFunds(t *testing.T) {
 				Reference: "testing",
 			},
 		},
+		{
+			transfer: commandspb.Transfer{
+				FromAccountType: vega.AccountType_ACCOUNT_TYPE_GENERAL,
+				ToAccountType:   vega.AccountType_ACCOUNT_TYPE_REWARD_AVERAGE_NOTIONAL,
+				Kind: &commandspb.Transfer_Recurring{
+					Recurring: &commandspb.RecurringTransfer{
+						StartEpoch: 10,
+						EndEpoch:   ptr.From(uint64(11)),
+						Factor:     "1",
+						DispatchStrategy: &vega.DispatchStrategy{
+							AssetForMetric:       "",
+							Metric:               vega.DispatchMetric_DISPATCH_METRIC_AVERAGE_NOTIONAL,
+							EntityScope:          vega.EntityScope_ENTITY_SCOPE_INDIVIDUALS,
+							IndividualScope:      vega.IndividualScope_INDIVIDUAL_SCOPE_IN_TEAM,
+							WindowLength:         100,
+							TransferInterval:     &tooLongTransferInterval,
+							TargetNotionalVolume: &notionalVolumeInvalidNumber,
+						},
+					},
+				},
+				To:        "84e2b15102a8d6c1c6b4bdf40af8a0dc21b040eaaa1c94cd10d17604b75fdc35",
+				Asset:     "080538b7cc2249de568cb4272a17f4d5e0b0a69a1a240acbf5119d816178daff",
+				Amount:    "1",
+				Reference: "testing",
+			},
+			errString: "transfer.kind.dispatch_strategy.target_notional_volume (is not a valid number)",
+		},
+		{
+			transfer: commandspb.Transfer{
+				FromAccountType: vega.AccountType_ACCOUNT_TYPE_GENERAL,
+				ToAccountType:   vega.AccountType_ACCOUNT_TYPE_REWARD_AVERAGE_NOTIONAL,
+				Kind: &commandspb.Transfer_Recurring{
+					Recurring: &commandspb.RecurringTransfer{
+						StartEpoch: 10,
+						EndEpoch:   ptr.From(uint64(11)),
+						Factor:     "1",
+						DispatchStrategy: &vega.DispatchStrategy{
+							AssetForMetric:       "",
+							Metric:               vega.DispatchMetric_DISPATCH_METRIC_AVERAGE_NOTIONAL,
+							EntityScope:          vega.EntityScope_ENTITY_SCOPE_INDIVIDUALS,
+							IndividualScope:      vega.IndividualScope_INDIVIDUAL_SCOPE_IN_TEAM,
+							WindowLength:         100,
+							TransferInterval:     &tooLongTransferInterval,
+							TargetNotionalVolume: &notionalVolumeNegative,
+						},
+					},
+				},
+				To:        "84e2b15102a8d6c1c6b4bdf40af8a0dc21b040eaaa1c94cd10d17604b75fdc35",
+				Asset:     "080538b7cc2249de568cb4272a17f4d5e0b0a69a1a240acbf5119d816178daff",
+				Amount:    "1",
+				Reference: "testing",
+			},
+			errString: "transfer.kind.dispatch_strategy.target_notional_volume (must be positive)",
+		},
+		{
+			transfer: commandspb.Transfer{
+				FromAccountType: vega.AccountType_ACCOUNT_TYPE_GENERAL,
+				ToAccountType:   vega.AccountType_ACCOUNT_TYPE_REWARD_AVERAGE_NOTIONAL,
+				Kind: &commandspb.Transfer_Recurring{
+					Recurring: &commandspb.RecurringTransfer{
+						StartEpoch: 10,
+						EndEpoch:   ptr.From(uint64(11)),
+						Factor:     "1",
+						DispatchStrategy: &vega.DispatchStrategy{
+							AssetForMetric:       "",
+							Metric:               vega.DispatchMetric_DISPATCH_METRIC_AVERAGE_NOTIONAL,
+							EntityScope:          vega.EntityScope_ENTITY_SCOPE_INDIVIDUALS,
+							IndividualScope:      vega.IndividualScope_INDIVIDUAL_SCOPE_IN_TEAM,
+							WindowLength:         100,
+							TransferInterval:     &tooLongTransferInterval,
+							TargetNotionalVolume: &notionalVolumeZero,
+						},
+					},
+				},
+				To:        "84e2b15102a8d6c1c6b4bdf40af8a0dc21b040eaaa1c94cd10d17604b75fdc35",
+				Asset:     "080538b7cc2249de568cb4272a17f4d5e0b0a69a1a240acbf5119d816178daff",
+				Amount:    "1",
+				Reference: "testing",
+			},
+			errString: "transfer.kind.dispatch_strategy.target_notional_volume (must be positive)",
+		},
+		{
+			transfer: commandspb.Transfer{
+				FromAccountType: vega.AccountType_ACCOUNT_TYPE_GENERAL,
+				ToAccountType:   vega.AccountType_ACCOUNT_TYPE_REWARD_MARKET_PROPOSERS,
+				Kind: &commandspb.Transfer_Recurring{
+					Recurring: &commandspb.RecurringTransfer{
+						StartEpoch: 10,
+						EndEpoch:   ptr.From(uint64(11)),
+						Factor:     "1",
+						DispatchStrategy: &vega.DispatchStrategy{
+							AssetForMetric:       "",
+							Metric:               vega.DispatchMetric_DISPATCH_METRIC_MARKET_VALUE,
+							EntityScope:          vega.EntityScope_ENTITY_SCOPE_INDIVIDUALS,
+							IndividualScope:      vega.IndividualScope_INDIVIDUAL_SCOPE_IN_TEAM,
+							WindowLength:         100,
+							TransferInterval:     &tooLongTransferInterval,
+							TargetNotionalVolume: &notionalVolumeValid,
+						},
+					},
+				},
+				To:        "84e2b15102a8d6c1c6b4bdf40af8a0dc21b040eaaa1c94cd10d17604b75fdc35",
+				Asset:     "080538b7cc2249de568cb4272a17f4d5e0b0a69a1a240acbf5119d816178daff",
+				Amount:    "1",
+				Reference: "testing",
+			},
+			errString: "transfer.kind.dispatch_strategy.target_notional_volume (not allowed for metric DISPATCH_METRIC_MARKET_VALUE)",
+		},
 		{
 			transfer: commandspb.Transfer{
 				FromAccountType: vega.AccountType_ACCOUNT_TYPE_GENERAL,
@@ -1453,8 +1566,11 @@ func TestTransferFunds(t *testing.T) {
 						DispatchStrategy: &vega.DispatchStrategy{
 							AssetForMetric:       "",
 							Metric:               vega.DispatchMetric_DISPATCH_METRIC_ELIGIBLE_ENTITIES,
+							EntityScope:          vega.EntityScope_ENTITY_SCOPE_INDIVIDUALS,
+							IndividualScope:      vega.IndividualScope_INDIVIDUAL_SCOPE_IN_TEAM,
+							WindowLength:         100,
+							TransferInterval:     &tooLongTransferInterval,
 							DistributionStrategy: vega.DistributionStrategy_DISTRIBUTION_STRATEGY_PRO_RATA,
-							EntityScope:          vega.EntityScope_ENTITY_SCOPE_TEAMS,
 							// no asset for metric, no markets in scope, no position requirement, no staking requirement
 						},
 					},

core/banking/engine.go

@@ -115,6 +115,7 @@ type MarketActivityTracker interface {
 	TeamStatsForMarkets(allMarketsForAssets, onlyTheseMarkets []string) map[string]map[string]*num.Uint
 	PublishGameMetric(ctx context.Context, dispatchStrategy []*vega.DispatchStrategy, now time.Time)
 	GameFinished(gameID string)
+	GetNotionalVolumeForAsset(asset string, markets []string, windowSize int) *num.Uint
 }
 
 type EthereumEventSource interface {

core/banking/gov_transfers.go

@@ -100,6 +100,7 @@ func (e *Engine) distributeRecurringGovernanceTransfers(ctx context.Context) {
 		}
 
 		amount, err := e.processGovernanceTransfer(ctx, gTransfer)
+		amount = e.scaleAmountByTargetNotional(gTransfer.Config.RecurringTransferConfig.DispatchStrategy, amount)
 		e.log.Info("processed transfer", logging.String("amount", amount.String()))
 
 		if err != nil {

core/banking/recurring_transfers.go

@@ -234,6 +234,23 @@ func (e *Engine) dispatchRequired(ctx context.Context, ds *vegapb.DispatchStrate
 	return required
 }
 
+func (e *Engine) scaleAmountByTargetNotional(ds *vegapb.DispatchStrategy, amount *num.Uint) *num.Uint {
+	if ds == nil {
+		return amount
+	}
+	if ds.TargetNotionalVolume == nil {
+		return amount
+	}
+	actualVolumeInWindow := e.marketActivityTracker.GetNotionalVolumeForAsset(ds.AssetForMetric, ds.Markets, int(ds.WindowLength))
+	if actualVolumeInWindow.IsZero() {
+		return num.UintZero()
+	}
+	targetNotional := num.MustUintFromString(*ds.TargetNotionalVolume, 10)
+	ratio := num.MinD(actualVolumeInWindow.ToDecimal().Div(targetNotional.ToDecimal()), num.DecimalOne())
+	amt, _ := num.UintFromDecimal(ratio.Mul(amount.ToDecimal()))
+	return amt
+}
+
 func (e *Engine) distributeRecurringTransfers(ctx context.Context, newEpoch uint64) {
 	var (
 		transfersDone = []events.Event{}
@@ -273,6 +290,9 @@ func (e *Engine) distributeRecurringTransfers(ctx context.Context, newEpoch uint
 			)
 		)
 
+		// scale transfer amount as necessary
+		amount = e.scaleAmountByTargetNotional(v.DispatchStrategy, amount)
+
 		// check if the amount is still enough
 		// ensure asset exists
 		a, err := e.assets.Get(v.Asset)

core/execution/common/market_activity_tracker.go

@@ -77,6 +77,8 @@ type marketTracker struct {
 	treasuryFeesPaid  map[string]*num.Uint
 	markPrice         *num.Uint
 
+	notionalVolumeForEpoch *num.Uint
+
 	totalMakerFeesReceived *num.Uint
 	totalMakerFeesPaid     *num.Uint
 	totalLpFees            *num.Uint
@@ -97,6 +99,7 @@ type marketTracker struct {
 	epochTimeWeightedNotional   []map[string]*num.Uint
 	epochPartyM2M               []map[string]num.Decimal
 	epochPartyRealisedReturn    []map[string]num.Decimal
+	epochNotionalVolume         []*num.Uint
 
 	valueTraded     *num.Uint
 	proposersPaid   map[string]struct{} // identifier of payout_asset : funder : markets_in_scope
@@ -203,6 +206,7 @@ func (mat *MarketActivityTracker) MarketProposed(asset, marketID, proposer strin
 		lpPaidFees:                  map[string]*num.Uint{},
 		buybackFeesPaid:             map[string]*num.Uint{},
 		treasuryFeesPaid:            map[string]*num.Uint{},
+		notionalVolumeForEpoch:      num.UintZero(),
 		totalMakerFeesReceived:      num.UintZero(),
 		totalMakerFeesPaid:          num.UintZero(),
 		totalLpFees:                 num.UintZero(),
@@ -219,6 +223,7 @@ func (mat *MarketActivityTracker) MarketProposed(asset, marketID, proposer strin
 		epochPartyM2M:               []map[string]num.Decimal{},
 		epochPartyRealisedReturn:    []map[string]decimal.Decimal{},
 		epochTimeWeightedPosition:   []map[string]uint64{},
+		epochNotionalVolume:         []*num.Uint{},
 		epochTimeWeightedNotional:   []map[string]*num.Uint{},
 		allPartiesCache:             map[string]struct{}{},
 		ammPartiesCache:             map[string]struct{}{},
@@ -543,6 +548,11 @@ func (mat *MarketActivityTracker) OnEpochEvent(ctx context.Context, epoch types.
 				mt.processM2MEndOfEpoch()
 				mt.processPartyRealisedReturnOfEpoch()
 				mt.clearFeeActivity()
+				if len(mt.epochNotionalVolume) == maxWindowSize {
+					mt.epochNotionalVolume = mt.epochNotionalVolume[1:]
+				}
+				mt.epochNotionalVolume = append(mt.epochNotionalVolume, mt.notionalVolumeForEpoch)
+				mt.notionalVolumeForEpoch = num.UintZero()
 			}
 		}
 		if len(mat.takerFeesPaidInEpoch) == maxWindowSize {
@@ -566,6 +576,33 @@ func (mat *MarketActivityTracker) clearDeletedMarkets() {
 	}
 }
 
+func (mat *MarketActivityTracker) GetNotionalVolumeForAsset(asset string, markets []string, windowSize int) *num.Uint {
+	total := num.UintZero()
+	trackers, ok := mat.assetToMarketTrackers[asset]
+	if !ok {
+		return total
+	}
+	marketsInScope := map[string]struct{}{}
+	for _, mkt := range markets {
+		marketsInScope[mkt] = struct{}{}
+	}
+	if len(markets) == 0 {
+		for mkt := range trackers {
+			marketsInScope[mkt] = struct{}{}
+		}
+	}
+	for mkt := range marketsInScope {
+		for i := 0; i < windowSize; i++ {
+			idx := len(trackers[mkt].epochNotionalVolume) - i - 1
+			if idx < 0 {
+				break
+			}
+			total.AddSum(trackers[mkt].epochNotionalVolume[idx])
+		}
+	}
+	return total
+}
+
 func (mat *MarketActivityTracker) CalculateTotalMakerContributionInQuantum(windowSize int) (map[string]*num.Uint, map[string]num.Decimal) {
 	m := map[string]*num.Uint{}
 	total := num.UintZero()
@@ -1202,6 +1239,12 @@ func (mat *MarketActivityTracker) calculateMetricForParty(asset, party string, m
 	return num.DecimalZero(), found
 }
 
+func (mat *MarketActivityTracker) RecordNotionalTraded(asset, marketID string, notional *num.Uint) {
+	if tracker, ok := mat.getMarketTracker(asset, marketID); ok {
+		tracker.notionalVolumeForEpoch.AddSum(notional)
+	}
+}
+
 func (mat *MarketActivityTracker) RecordNotionalTakerVolume(marketID string, party string, volumeToAdd *num.Uint) {
 	if _, ok := mat.partyTakerNotionalVolume[party]; !ok {
 		mat.partyTakerNotionalVolume[party] = volumeToAdd

core/execution/common/market_activity_tracker_internal_test.go

@@ -132,6 +132,8 @@ func getDefaultTracker(t *testing.T) *marketTracker {
 		twNotional:               map[string]*twNotional{},
 		epochPartyM2M:            []map[string]num.Decimal{},
 		epochPartyRealisedReturn: []map[string]num.Decimal{},
+		epochNotionalVolume:      []*num.Uint{},
+		notionalVolumeForEpoch:   num.UintZero(),
 	}
 }
 
@@ -1610,6 +1612,8 @@ func TestIntoProto(t *testing.T) {
 		epochTimeWeightedPosition:   []map[string]uint64{{"p1": 100, "p2": 200}, {"p3": 90, "p4": 80}},
 		epochTimeWeightedNotional:   []map[string]*num.Uint{{"p1": num.NewUint(1000), "p2": num.NewUint(2000)}, {"p1": num.NewUint(3000), "p3": num.NewUint(4000)}},
 		allPartiesCache:             map[string]struct{}{"p1": {}, "p2": {}, "p3": {}, "p4": {}, "p5": {}, "p6": {}},
+		notionalVolumeForEpoch:      num.UintZero(),
+		epochNotionalVolume:         []*num.Uint{num.NewUint(100)},
 	}
 
 	mt1Proto := mt.IntoProto("market1")